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Re: st: Exclusion restriction with mprobit
From
saqlain raza <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Exclusion restriction with mprobit
Date
Thu, 3 Nov 2011 14:20:58 -0700 (PDT)
I am using two binary dependent variables and a set of independent covariates. For my case, the errors are correlated with each other. What do you suggest?
Saqlain RAZA
France
________________________________
From: Maarten Buis <[email protected]>
To: [email protected]
Sent: Wednesday, November 2, 2011 9:25 PM
Subject: Re: st: Exclusion restriction with mprobit
On Wed, Nov 2, 2011 at 9:06 PM, saqlain raza wrote:
> I am trying to use "mprobit" to estimate a multinomial probit model with four alternatives.
> As far as I know, what we need for identifying MNP model is some set of proper "exclusion
> restrictions," (as illustrated by Keane (1992)), not the suggested format of the data itself.
That is only necesary when your multinomial probit model includes
correlations between the different error terms. The -mprobit- command
in Stata sets these correlations at 0, imposing the equivalent of the
IAA assumption to a multinomial probit model. It is this assumption
that identifies the model rather than an exclusion restriction.
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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